The PortScenMinVarA.xlsx Model

Portfolio Optimization with Variance as Risk Measure

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This is the classic Markowitz portfolio model, with uncertainty represented by scenarios.
What fraction of the portfolio should we invest in each stock, so as to
Minimize the variance of the portfolio return, subject to the the portfolio having a specified expected return. Variance is the expectation of the squared deviation of a random variable
Calculated by measuring the distance squared to the mean

var = sum(Scenario probability*(Avg-scenario return)^2)

Keywords:

Portfolio | Markowitz | Risk Management |